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Mathematical Finance
Last Updated: 2026-02-05 15:35:15
Abstract
Advanced course on mathematical finance:- semimartingales and general stochastic integration- absence of arbitrage and martingale measures- fundamental theorem of asset pricing- option pricing and hedging- hedging duality- optimal investment problems- additional topics
Objective
Advanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes)
Content
This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models. Topics include - semimartingales and general stochastic integration - absence of arbitrage and martingale measures - fundamental theorem of asset pricing - option pricing and hedging - hedging duality - optimal investment problems - and probably others
Resources
Lecture Notes
The course is based on different parts from different books as well as on original research literature.Lecture notes will not be available.
Literature
(will be updated later)
Learning Materials (Links)
- Main link
- Information
General Information
- Language
- English
- Levels
- DR , MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 30 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Mathematical Finance |
|
4 h weekly |
| exercise | Mathematical Finance |
|
2 h weekly |
Offered In
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Core Courses (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
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Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book University of Zurich modules directly at the University of Zurich. Those modules are not listed here.)
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Mathematical Methods for Finance (For possible additional course offerings see )
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Doctoral Department of Mathematics (More Information at: The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM. WARNING: Do not mistake ECTS credits for credit points for doctoral studies!)
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Graduate School (Official website of the Zurich Graduate School in Mathematics:)
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